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These are hypothetical performance results that have certain inherent limitations. Learn more

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Sleep Well
(14714922)

Created by: EdwardLee EdwardLee

Started: 06/2005

Stocks

Last trade: 7,303 days ago

Subscriptions not currently available.

Simulate This Track at simulated broker

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $299.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

Certified

Meets requirements but not yet certified

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

1.5%

Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(17.8%)

Max Drawdown

190

Num Trades

48.9%

Win Trades

1.7 : 1

Profit Factor

2.8%

Win Months

Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD
2005						+4.1%	(0.6%)	(7.2%)	+3.9%	(5.4%)	+0.8%	(1.3%)	(6.2%)
2006	+38.6%	(8.7%)	+21.5%	+1.8%	(1.7%)	(3%)	(0.2%)	(0.2%)	(0.2%)	(0.2%)	(0.2%)	(0.2%)	+47.1%
2007	(0.2%)	(0.2%)	(0.2%)	(0.2%)	(0.2%)	(0.2%)	-	-	-	-	+0.2%	-	(1.3%)
2008	(0.4%)	-	-	-	-	-	-	-	-	-	-	-	(0.4%)
2009	-	-	-	-	-	-	-	-	-	-	-	-	0.0
2010	-	-	-	-	-	-	-	-	-	-	-	-	0.0
2011	-	-	-	-	-	-	-	-	-	-	-	-	0.0
2012	-	-	-	-	-	-	-	-	-	-	-	-	0.0
2013	-	-	-	-	-	-	-	-	-	-	-	-	0.0
2014	-	-	-	-	-	-	-	-	-	-	-	-	0.0
2015	-	-	-	-	-	-	-	-	-	-	-	-	0.0
2016	-	-	-	-	-	-	-	-	-	-	-	-	0.0
2017	-	-	-	-	-	-	-	-	-	-	-	-	0.0
2018	-	-	-	-	-	-	-	-	-	-	-	-	0.0
2019	-	-	-	-	-	-	-	-	-	-	-	0.0
2020	-	-	-	-	-	-	-	-	-	-	-	-	0.0
2021	-	-	-	-	-	-	-	-	-	-	-	-	0.0
2022	-	-	-	-	-	-	-	-	-	-	-	-	0.0
2023	-	-	-	-	-	-	-	-	-	-	-	-	0.0
2024	-	-	-	-	-	-	-	-	-	-	-	-	0.0
2025	-	-	-	-	-	-	-	-	-	-	-	-	0.0
2026	-	-	-	-	-	-							0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Started	$100,000
Buy Power	$148,203
Cash	$148,203
Equity	$0
Cumulative $	$48,203
Includes dividends and cash-settled expirations:	($258)	Itemized
Total System Equity	$148,203
Margined	$0
Open P/L	$0

Trading Record

Download CSV

Long

Short

Both

Win

Loss

Both

Show More details Show Fewer details

Opened Date/Time Symbol Description Side Quant Avg Price Closed Date/Time Avg Price Drawdown P/L

5/30/06 9:31

GNBT

Generex Biotechnology Corp.

LONG

5,319

1.88

6/13 11:11

1.50

1.36%

Trade id #	21250744
Max drawdown	($2,021)
Time	6/13/06 10:45
Quant open	5,319
Worst price	1.52
Drawdown as % of equity	-1.36%

($2,026)

Includes Typical Broker Commissions trade costs of $5.00

5/30/06 12:13

PEIX

ALTO INGREDIENTS INC

LONG

350

29.50

6/8 9:33

25.00

1.05%

Trade id #	21253894
Max drawdown	($1,575)
Time	6/6/06 15:00
Quant open	350
Worst price	25.35
Drawdown as % of equity	-1.05%

($1,582)

Includes Typical Broker Commissions trade costs of $7.00

5/15/06 9:38

NEU

NEWMARKET

LONG

375

50.99

5/19 9:42

47.42

0.98%

Trade id #	20801970
Max drawdown	($1,496)
Time	5/19/06 9:42
Quant open	375
Worst price	47.00
Drawdown as % of equity	-0.98%

($1,347)

Includes Typical Broker Commissions trade costs of $7.50

5/15/06 9:31

RACK

LONG

480

40.50

5/15 15:05

38.19

0.72%

Trade id #	20801502
Max drawdown	($1,109)
Time	5/15/06 14:30
Quant open	480
Worst price	38.78
Drawdown as % of equity	-0.72%

($1,119)

Includes Typical Broker Commissions trade costs of $9.60

4/10/06 9:31

TSCM

TIMESSQUARE QUALITY MID CAP GROWTH ETF

LONG

1,333

7.50

4/28 9:32

9.86

0.16%

Trade id #	19555741
Max drawdown	($239)
Time	4/11/06 11:00
Quant open	1,333
Worst price	7.32
Drawdown as % of equity	-0.16%

$3,141

Includes Typical Broker Commissions trade costs of $5.00

4/10/06 10:05

EGLE

GLOBAL X S&P 500 US REVENUE LEADERS ETF

LONG

1104.00

4/28 9:32

1104.80

0.57%

Trade id #	19556793
Max drawdown	($855)
Time	4/12/06 16:00
Quant open	1,500
Worst price	13.23
Drawdown as % of equity	-0.57%

$15

Includes Typical Broker Commissions trade costs of $0.38

4/10/06 9:44

KND

KINDRED HEALTHCARE

LONG

850

23.71

4/24 16:01

23.82

0.54%

Trade id #	19556411
Max drawdown	($807)
Time	4/13/06 9:45
Quant open	850
Worst price	22.76
Drawdown as % of equity	-0.54%

$89

Includes Typical Broker Commissions trade costs of $5.00

4/3/06 9:51

FMD

THE FIRST MARBLEHEAD

LONG

432.50

4/21 15:56

441.00

0.1%

Trade id #	19412099
Max drawdown	($149)
Time	4/3/06 10:54
Quant open	230
Worst price	42.60
Drawdown as % of equity	-0.10%

$196

Includes Typical Broker Commissions trade costs of $0.46

4/3/06 9:31

PZZA

PAPA JOHN'S INTERNATIONAL

LONG

1,220

16.40

4/21 15:56

16.66

0.53%

Trade id #	19411694
Max drawdown	($786)
Time	4/5/06 10:00
Quant open	610
Worst price	31.51
Drawdown as % of equity	-0.53%

$312

Includes Typical Broker Commissions trade costs of $5.00

3/27/06 9:31

CYTR

CYTRX

LONG

856

11.69

4/13 15:57

14.77

0.02%

Trade id #	19262181
Max drawdown	($29)
Time	3/27/06 9:45
Quant open	5,990
Worst price	1.67
Drawdown as % of equity	-0.02%

$2,631

Includes Typical Broker Commissions trade costs of $5.00

3/27/06 9:36

FOXH

LONG

670

29.87

4/11 10:06

31.45

0.71%

Trade id #	19262487
Max drawdown	($1,031)
Time	3/29/06 11:30
Quant open	670
Worst price	28.33
Drawdown as % of equity	-0.71%

$1,054

Includes Typical Broker Commissions trade costs of $5.00

4/10/06 9:31

PPHM

PEREGRINE PHARMACEUTICALS

LONG

10,000

1.39

4/11 9:38

1.31

0.49%

Trade id #	19555738
Max drawdown	($750)
Time	4/10/06 15:15
Quant open	10,000
Worst price	1.33
Drawdown as % of equity	-0.49%

($755)

Includes Typical Broker Commissions trade costs of $5.00

4/3/06 9:31

TTP

TORTOISE PIPELINE & ENERGY COM

LONG

2,965

3.35

4/7 16:00

3.13

0.42%

Trade id #	19411687
Max drawdown	($652)
Time	4/7/06 16:00
Quant open	2,965
Worst price	3.13
Drawdown as % of equity	-0.42%

($657)

Includes Typical Broker Commissions trade costs of $5.00

3/20/06 9:59

NXXI

LONG

7,300

1.37

4/7 15:57

2.38

0.46%

Trade id #	19124584
Max drawdown	($657)
Time	3/23/06 10:15
Quant open	7,300
Worst price	1.28
Drawdown as % of equity	-0.46%

$7,368

Includes Typical Broker Commissions trade costs of $5.00

3/20/06 9:31

SHFL

SHFL ENTERTAINMENT

LONG

770

25.98

4/7 15:56

35.08

0.06%

Trade id #	19123452
Max drawdown	($77)
Time	3/20/06 9:45
Quant open	770
Worst price	25.88
Drawdown as % of equity	-0.06%

$7,002

Includes Typical Broker Commissions trade costs of $5.00

4/3/06 9:39

HAWAIIAN HOLDINGS

LONG

1,920

5.20

4/5 9:47

5.30

Trade id #	19411931
Max drawdown	$0
Time	4/3/06 9:39
Quant open	0
Worst price	5.20
Drawdown as % of equity	0.00%

$187

Includes Typical Broker Commissions trade costs of $5.00

4/3/06 9:31

MYOG

LONG

550

36.08

4/5 9:31

34.68

0.65%

Trade id #	19411685
Max drawdown	($975)
Time	4/3/06 15:07
Quant open	550
Worst price	34.31
Drawdown as % of equity	-0.65%

($775)

Includes Typical Broker Commissions trade costs of $5.00

3/27/06 9:34

IFS

INTERCORP FINANCIAL SERVICES INC

LONG

1,150

17.44

4/4 15:57

17.85

0.35%

Trade id #	19262196
Max drawdown	($517)
Time	3/31/06 13:45
Quant open	1,150
Worst price	16.99
Drawdown as % of equity	-0.35%

$467

Includes Typical Broker Commissions trade costs of $5.00

4/3/06 9:31

MTXX

Matrixx Initiatives Inc.

LONG

430

23.22

4/4 9:39

21.67

0.44%

Trade id #	19411682
Max drawdown	($667)
Time	4/3/06 10:00
Quant open	430
Worst price	23.20
Drawdown as % of equity	-0.44%

($676)

Includes Typical Broker Commissions trade costs of $8.60

4/3/06 9:31

PTIE

PAIN THERAPEUTICS

LONG

1,840

10.84

4/4 9:39

10.10

0.9%

Trade id #	19411691
Max drawdown	($1,362)
Time	4/3/06 14:36
Quant open	1,840
Worst price	10.35
Drawdown as % of equity	-0.90%

($1,367)

Includes Typical Broker Commissions trade costs of $5.00

3/13/06 11:28

PHO

POWERSHARES WATER RESOURCES PORTFOLIO

LONG

1,155

17.32

3/31 15:58

18.04

0.02%

Trade id #	19000798
Max drawdown	($23)
Time	3/13/06 11:30
Quant open	1,155
Worst price	17.30
Drawdown as % of equity	-0.02%

$827

Includes Typical Broker Commissions trade costs of $5.00

3/13/06 9:31

NEW

PUXIN LTD

LONG

505

39.64

3/31 15:57

45.94

0.06%

Trade id #	18998475
Max drawdown	($70)
Time	3/13/06 9:45
Quant open	505
Worst price	39.50
Drawdown as % of equity	-0.06%

$3,177

Includes Typical Broker Commissions trade costs of $5.00

3/20/06 9:39

LEXR

LONG

2,130

9.39

3/28 9:31

8.73

1.05%

Trade id #	19123766
Max drawdown	($1,406)
Time	3/20/06 10:45
Quant open	2,130
Worst price	9.02
Drawdown as % of equity	-1.05%

($1,411)

Includes Typical Broker Commissions trade costs of $5.00

3/27/06 9:31

TOPT

ISHARES TOP 20 US STOCKS ETF

LONG

1,157

17.25

3/28 9:31

16.07

0.93%

Trade id #	19262197
Max drawdown	($1,365)
Time	3/27/06 9:45
Quant open	1,157
Worst price	17.16
Drawdown as % of equity	-0.93%

($1,370)

Includes Typical Broker Commissions trade costs of $5.00

3/23/06 9:31

GNBT

Generex Biotechnology Corp.

LONG

9,000

3.60

3/24 9:31

3.62

2.14%

Trade id #	19174731
Max drawdown	($3,060)
Time	3/23/06 9:45
Quant open	9,000
Worst price	3.26
Drawdown as % of equity	-2.14%

$175

Includes Typical Broker Commissions trade costs of $5.00

3/20/06 9:31

SONS

SONUS NETWORKS INC

LONG

789

25.25

3/23 10:10

23.55

0.9%

Trade id #	19123455
Max drawdown	($1,341)
Time	3/22/06 9:45
Quant open	3,945
Worst price	4.72
Drawdown as % of equity	-0.90%

($1,346)

Includes Typical Broker Commissions trade costs of $5.00

3/13/06 9:31

GNBT

Generex Biotechnology Corp.

LONG

9,090

2.20

3/22 15:08

3.53

0.43%

Trade id #	18998466
Max drawdown	($545)
Time	3/13/06 15:30
Quant open	9,090
Worst price	2.14
Drawdown as % of equity	-0.43%

$12,085

Includes Typical Broker Commissions trade costs of $5.00

3/13/06 9:52

MCRL

MICREL

LONG

1,500

13.60

3/16 15:49

13.67

0.41%

Trade id #	18998964
Max drawdown	($525)
Time	3/13/06 16:00
Quant open	1,500
Worst price	13.25
Drawdown as % of equity	-0.41%

$100

Includes Typical Broker Commissions trade costs of $5.00

3/13/06 15:24

ACLS

AXCELIS TECHNOLOGIES

LONG

3,050

6.55

3/16 15:33

6.37

0.44%

Trade id #	19003568
Max drawdown	($579)
Time	3/16/06 15:30
Quant open	3,050
Worst price	6.36
Drawdown as % of equity	-0.44%

($554)

Includes Typical Broker Commissions trade costs of $5.00

3/15/06 9:30

NYX

NYIAX INC.

SHORT

1,000

86.35

3/16 9:39

89.39

2.33%

Trade id #	19035336
Max drawdown	($3,040)
Time	3/15/06 10:45
Quant open	-1,000
Worst price	88.75
Drawdown as % of equity	-2.33%

($3,045)

Includes Typical Broker Commissions trade costs of $5.00

Hypothetical Trading Results
Opened ET	B/S	#	Symbol		Price	Closed	Close	Risk	P/L
Loading...

Statistics

Strategy began

6/12/2005
Suggested Minimum Cap

$100,000
Strategy Age (days)

7663.53
Age

256 months ago
What it trades

Stocks
# Trades

190
# Profitable

93
% Profitable

48.90%
Avg trade duration

5.4 days
Max peak-to-valley drawdown

17.76%
drawdown period

July 13, 2005 - Aug 18, 2005
Annual Return (Compounded)

1.5%
Avg win

$1,280
Avg loss

$728.41
Model Account Values (Raw)
Cash

$148,203
Margin Used

$0
Buying Power

$148,203
Ratios
W:L ratio

1.68:1
Sharpe Ratio

-0.06
Sortino Ratio

-0.1
Calmar Ratio

-0.001
CORRELATION STATISTICS
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)

-480.50%
Correlation to SP500

0.01360
Return Percent SP500 (cumu) during strategy life

507.62%
Return Statistics
Ann Return (w trading costs)

1.5%
Slump
Current Slump as Pcnt Equity

8.50%
Instruments
Percent Trades Futures

n/a
Slump
Current Slump, time of slump as pcnt of strategy life

0.96%
Return Statistics
Return Pcnt Since TOS Status

n/a
Return Pcnt (Compound or Annual, age-based, NFA compliant)

0.015%
Instruments
Percent Trades Options

n/a
Percent Trades Stocks

1.00%
Percent Trades Forex

n/a
Return Statistics
Ann Return (Compnd, No Fees)

1.9%
Risk of Ruin (Monte-Carlo)
Chance of 10% account loss

100.00%
Chance of 20% account loss

n/a
Chance of 30% account loss

n/a
Chance of 40% account loss

n/a
Chance of 60% account loss (Monte Carlo)

n/a
Chance of 70% account loss (Monte Carlo)

n/a
Chance of 80% account loss (Monte Carlo)

n/a
Chance of 90% account loss (Monte Carlo)

n/a
Chance of 100% account loss (Monte Carlo)

n/a
Automation
Percentage Signals Automated

n/a
Risk of Ruin (Monte-Carlo)
Chance of 50% account loss

n/a
Popularity
Popularity (Today)

0
Popularity (Last 6 weeks)

0
Trading Style
Any stock shorts? 0/1

1
Popularity
Popularity (7 days, Percentile 1000 scale)

0
Trades-Own-System Certification
Trades Own System?

-
TOS percent

n/a
Win / Loss
Avg Loss

$728
Avg Win

$1,281
Sum Trade PL (losers)

$70,656.000
Age
Num Months filled monthly returns table

253
Win / Loss
Sum Trade PL (winners)

$119,120.000
# Winners

93
Num Months Winners

17
Dividends
Dividends Received in Model Acct

-259
Win / Loss
# Losers

97
% Winners

49.0%
Frequency
Avg Position Time (mins)

7788.35
Avg Position Time (hrs)

129.81
Avg Trade Length

5.4 days
Last Trade Ago

7306
Regression
Alpha

-0.00
Beta

0.00
Treynor Index

-0.18
Maximum Adverse Excursion (MAE)
MAE:Equity, average, all trades

0.01
MAE:PL - Winning Trades - this strat Percentile of All Strats

88.21
MAE:PL - worst single value for strategy

-
MAE:PL - Losing Trades - this strat Percentile of All Strats

17.48
MAE:PL (avg, winning trades)

-
MAE:PL (avg, losing trades)

-
MAE:PL (avg, all trades)

1.77
MAE:Equity, average, winning trades

0.01
MAE:Equity, average, losing trades

0.02
Avg(MAE) / Avg(PL) - All trades

1.380
MAE:Equity, losing trades only, 95th Percentile Value for this strat

-
MAE:Equity, win trades only, 95th Percentile Value for this strat

-
MAE:Equity, 95th Percentile Value for this strat

0.01
Avg(MAE) / Avg(PL) - Winning trades

0.268
Avg(MAE) / Avg(PL) - Losing trades

-1.354
Hold-and-Hope Ratio

0.724
Analysis based on MONTHLY values, full history
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
Mean

0.01282
SD

0.16364
Sharpe ratio (Glass type estimate)

0.07832
Sharpe ratio (Hedges UMVUE)

0.07772
df

99.00000
t

0.22608
p

0.41080
Lowerbound of 95% confidence interval for Sharpe Ratio

-0.60091
Upperbound of 95% confidence interval for Sharpe Ratio

0.75717
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation

-0.60132
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation

0.75676
Statistics related to Sortino ratio
Sortino ratio

0.13074
Upside Potential Ratio

0.67176
Upside part of mean

0.06585
Downside part of mean

-0.05303
Upside SD

0.13005
Downside SD

0.09802
N nonnegative terms

84.00000
N negative terms

16.00000
Statistics related to linear regression on benchmark
N of observations

100.00000
Mean of predictor

0.14939
Mean of criterion

0.01282
SD of predictor

0.24343
SD of criterion

0.16364
Covariance

0.00500
r

0.12563
b (slope, estimate of beta)

0.08445
a (intercept, estimate of alpha)

0.00020
Mean Square Error

0.02662
DF error

98.00000
t(b)

1.25366
p(b)

0.10647
t(a)

0.00346
p(a)

0.49862
Lowerbound of 95% confidence interval for beta

-0.04923
Upperbound of 95% confidence interval for beta

0.21814
Lowerbound of 95% confidence interval for alpha

-0.11373
Upperbound of 95% confidence interval for alpha

0.11413
Treynor index (mean / b)

0.15174
Jensen alpha (a)

0.00020
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
Mean

-0.00021
SD

0.16247
Sharpe ratio (Glass type estimate)

-0.00127
Sharpe ratio (Hedges UMVUE)

-0.00126
df

99.00000
t

-0.00367
p

0.50146
Lowerbound of 95% confidence interval for Sharpe Ratio

-0.68022
Upperbound of 95% confidence interval for Sharpe Ratio

0.67768
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation

-0.68021
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation

0.67769
Statistics related to Sortino ratio
Sortino ratio

-0.00181
Upside Potential Ratio

0.51606
Upside part of mean

0.05868
Downside part of mean

-0.05888
Upside SD

0.11490
Downside SD

0.11370
N nonnegative terms

84.00000
N negative terms

16.00000
Statistics related to linear regression on benchmark
N of observations

100.00000
Mean of predictor

0.11959
Mean of criterion

-0.00021
SD of predictor

0.24258
SD of criterion

0.16247
Covariance

0.00640
r

0.16240
b (slope, estimate of beta)

0.10877
a (intercept, estimate of alpha)

-0.01321
Mean Square Error

0.02596
DF error

98.00000
t(b)

1.62933
p(b)

0.05323
t(a)

-0.23435
p(a)

0.59240
Lowerbound of 95% confidence interval for beta

-0.02371
Upperbound of 95% confidence interval for beta

0.24124
Lowerbound of 95% confidence interval for alpha

-0.12510
Upperbound of 95% confidence interval for alpha

0.09868
Treynor index (mean / b)

-0.00190
Jensen alpha (a)

-0.01321
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
VaR(95%)

0.07426
Expected Shortfall on VaR

0.09209
assuming Pareto losses only (using partial moments from Sortino statistics)
VaR(95%)

0.00355
Expected Shortfall on VaR

0.01134
ORDER STATISTICS
Quartiles of return rates
Number of observations

100.00000
Minimum

0.72589
Quartile 1

1.00000
Median

1.00000
Quartile 3

1.00000
Maximum

1.30701
Mean of quarter 1

0.98232
Mean of quarter 2

1.00000
Mean of quarter 3

1.00000
Mean of quarter 4

1.02195
Inter Quartile Range

0.00000
Number outliers low

16.00000
Percentage of outliers low

0.16000
Mean of outliers low

0.97238
Number of outliers high

15.00000
Percentage of outliers high

0.15000
Mean of outliers high

1.03658
Risk estimates for a one-period unit investment (based on Ex
Extreme Value Index (moments method)

-4.03677
VaR(95%) (moments method)

0.00046
Expected Shortfall (moments method)

0.00050
Extreme Value Index (regression method)

0.54477
VaR(95%) (regression method)

0.01024
Expected Shortfall (regression method)

0.04943
DRAW DOWN STATISTICS
Quartiles of draw downs
Number of observations

2.00000
Minimum

0.04083
Quartile 1

0.11666
Median

0.19248
Quartile 3

0.26831
Maximum

0.34413
Mean of quarter 1

0.04083
Mean of quarter 2

0.00000
Mean of quarter 3

0.00000
Mean of quarter 4

0.34413
Inter Quartile Range

0.15165
Number outliers low

0.00000
Percentage of outliers low

0.00000
Mean of outliers low

0.00000
Number of outliers high

0.00000
Percentage of outliers high

0.00000
Mean of outliers high

0.00000
Risk estimates based on draw downs (based on Extreme Value T
Extreme Value Index (moments method)

0.00000
VaR(95%) (moments method)

0.00000
Expected Shortfall (moments method)

0.00000
Extreme Value Index (regression method)

0.00000
VaR(95%) (regression method)

0.00000
Expected Shortfall (regression method)

0.00000
COMBINED STATISTICS
Annualized return (arithmetic extrapolation)

-0.00021
Compounded annual return (geometric extrapolation)

-0.00021
Calmar ratio (compounded annual return / max draw down)

-0.00060
Compounded annual return / average of 25% largest draw downs

-0.00060
Compounded annual return / Expected Shortfall lognormal

-0.00224
0.00000
0.00000
Analysis based on DAILY values, full history
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
Mean

0.13342
SD

0.53166
Sharpe ratio (Glass type estimate)

0.25094
Sharpe ratio (Hedges UMVUE)

0.25086
df

2189.00000
t

0.72552
p

0.23411
Lowerbound of 95% confidence interval for Sharpe Ratio

-0.42704
Upperbound of 95% confidence interval for Sharpe Ratio

0.92887
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation

-0.42710
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation

0.92881
Statistics related to Sortino ratio
Sortino ratio

0.42636
Upside Potential Ratio

1.74768
Upside part of mean

0.54689
Downside part of mean

-0.41347
Upside SD

0.42975
Downside SD

0.31293
N nonnegative terms

2018.00000
N negative terms

172.00000
Statistics related to linear regression on benchmark
N of observations

2190.00000
Mean of predictor

0.33937
Mean of criterion

0.13342
SD of predictor

0.57409
SD of criterion

0.53166
Covariance

0.10514
r

0.34448
b (slope, estimate of beta)

0.31902
a (intercept, estimate of alpha)

0.02500
Mean Square Error

0.24924
DF error

2188.00000
t(b)

17.16390
p(b)

0.00000
t(a)

0.14556
p(a)

0.44214
Lowerbound of 95% confidence interval for beta

0.28257
Upperbound of 95% confidence interval for beta

0.35547
Lowerbound of 95% confidence interval for alpha

-0.31370
Upperbound of 95% confidence interval for alpha

0.36401
Treynor index (mean / b)

0.41821
Jensen alpha (a)

0.02515
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
Mean

-0.00021
SD

0.51617
Sharpe ratio (Glass type estimate)

-0.00040
Sharpe ratio (Hedges UMVUE)

-0.00040
df

2189.00000
t

-0.00115
p

0.50046
Lowerbound of 95% confidence interval for Sharpe Ratio

-0.67832
Upperbound of 95% confidence interval for Sharpe Ratio

0.67752
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation

-0.67832
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation

0.67752
Statistics related to Sortino ratio
Sortino ratio

-0.00055
Upside Potential Ratio

1.26544
Upside part of mean

0.47577
Downside part of mean

-0.47598
Upside SD

0.35348
Downside SD

0.37597
N nonnegative terms

2018.00000
N negative terms

172.00000
Statistics related to linear regression on benchmark
N of observations

2190.00000
Mean of predictor

0.17772
Mean of criterion

-0.00021
SD of predictor

0.56808
SD of criterion

0.51617
Covariance

0.10238
r

0.34917
b (slope, estimate of beta)

0.31726
a (intercept, estimate of alpha)

-0.05659
Mean Square Error

0.23405
DF error

2188.00000
t(b)

17.42960
p(b)

0.00000
t(a)

-0.33811
p(a)

0.63235
Lowerbound of 95% confidence interval for beta

0.28156
Upperbound of 95% confidence interval for beta

0.35295
Lowerbound of 95% confidence interval for alpha

-0.38480
Upperbound of 95% confidence interval for alpha

0.27162
Treynor index (mean / b)

-0.00065
Jensen alpha (a)

-0.05659
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
VaR(95%)

0.05110
Expected Shortfall on VaR

0.06360
assuming Pareto losses only (using partial moments from Sortino statistics)
VaR(95%)

0.00040
Expected Shortfall on VaR

0.00238
ORDER STATISTICS
Quartiles of return rates
Number of observations

2190.00000
Minimum

0.65348
Quartile 1

1.00000
Median

1.00000
Quartile 3

1.00000
Maximum

1.54378
Mean of quarter 1

0.99369
Mean of quarter 2

1.00000
Mean of quarter 3

1.00000
Mean of quarter 4

1.00834
Inter Quartile Range

0.00000
Number outliers low

172.00000
Percentage of outliers low

0.07854
Mean of outliers low

0.97991
Number of outliers high

189.00000
Percentage of outliers high

0.08630
Mean of outliers high

1.02419
Risk estimates for a one-period unit investment (based on Ex
Extreme Value Index (moments method)

1.47593
VaR(95%) (moments method)

0.00090
Expected Shortfall (moments method)

0.00000
Extreme Value Index (regression method)

0.00000
VaR(95%) (regression method)

0.00000
Expected Shortfall (regression method)

0.00000
DRAW DOWN STATISTICS
Quartiles of draw downs
Number of observations

10.00000
Minimum

0.00796
Quartile 1

0.11137
Median

0.32119
Quartile 3

0.34614
Maximum

0.38125
Mean of quarter 1

0.02568
Mean of quarter 2

0.31551
Mean of quarter 3

0.33585
Mean of quarter 4

0.36141
Inter Quartile Range

0.23477
Number outliers low

0.00000
Percentage of outliers low

0.00000
Mean of outliers low

0.00000
Number of outliers high

0.00000
Percentage of outliers high

0.00000
Mean of outliers high

0.00000
Risk estimates based on draw downs (based on Extreme Value T
Extreme Value Index (moments method)

-1.13374
VaR(95%) (moments method)

0.37850
Expected Shortfall (moments method)

0.38296
Extreme Value Index (regression method)

0.31801
VaR(95%) (regression method)

0.38582
Expected Shortfall (regression method)

0.42978
COMBINED STATISTICS
Annualized return (arithmetic extrapolation)

-0.00021
Compounded annual return (geometric extrapolation)

-0.00021
Calmar ratio (compounded annual return / max draw down)

-0.00054
Compounded annual return / average of 25% largest draw downs

-0.00057
Compounded annual return / Expected Shortfall lognormal

-0.00323
0.00000
0.00000
Analysis based on DAILY values, last 6 months only
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
Mean

0.00000
SD

0.00000
Sharpe ratio (Glass type estimate)

0.00000
Sharpe ratio (Hedges UMVUE)

0.00000
df

0.00000
t

0.00000
p

0.00000
Lowerbound of 95% confidence interval for Sharpe Ratio

0.00000
Upperbound of 95% confidence interval for Sharpe Ratio

0.00000
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation

0.00000
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation

0.00000
Statistics related to Sortino ratio
Sortino ratio

0.00000
Upside Potential Ratio

0.00000
Upside part of mean

0.00000
Downside part of mean

0.00000
Upside SD

0.00000
Downside SD

0.00000
N nonnegative terms

131.00000
N negative terms

0.00000
Statistics related to linear regression on benchmark
N of observations

131.00000
Mean of predictor

1.95935
Mean of criterion

0.00000
SD of predictor

0.87375
SD of criterion

0.00000
Covariance

0.00000
r

0.00000
b (slope, estimate of beta)

0.00000
a (intercept, estimate of alpha)

0.00000
Mean Square Error

0.00000
DF error

0.00000
t(b)

0.00000
p(b)

0.00000
t(a)

0.00000
p(a)

0.00000
Lowerbound of 95% confidence interval for beta

0.00000
Upperbound of 95% confidence interval for beta

0.00000
Lowerbound of 95% confidence interval for alpha

0.00000
Upperbound of 95% confidence interval for alpha

0.00000
Treynor index (mean / b)

0.00000
Jensen alpha (a)

0.00000
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
Mean

0.00000
SD

0.00000
Sharpe ratio (Glass type estimate)

0.00000
Sharpe ratio (Hedges UMVUE)

0.00000
df

0.00000
t

0.00000
p

0.00000
Lowerbound of 95% confidence interval for Sharpe Ratio

0.00000
Upperbound of 95% confidence interval for Sharpe Ratio

0.00000
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation

0.00000
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation

0.00000
Statistics related to Sortino ratio
Sortino ratio

0.00000
Upside Potential Ratio

0.00000
Upside part of mean

0.00000
Downside part of mean

0.00000
Upside SD

0.00000
Downside SD

0.00000
N nonnegative terms

131.00000
N negative terms

0.00000
Statistics related to linear regression on benchmark
N of observations

131.00000
Mean of predictor

1.63535
Mean of criterion

0.00000
SD of predictor

0.77028
SD of criterion

0.00000
Covariance

0.00000
r

0.00000
b (slope, estimate of beta)

0.00000
a (intercept, estimate of alpha)

0.00000
Mean Square Error

0.00000
DF error

0.00000
t(b)

0.00000
p(b)

0.00000
t(a)

0.00000
p(a)

0.00000
VAR (95 Confidence Intrvl)

0.05100
Lowerbound of 95% confidence interval for beta

0.00000
Upperbound of 95% confidence interval for beta

0.00000
Lowerbound of 95% confidence interval for alpha

0.00000
Upperbound of 95% confidence interval for alpha

0.00000
Treynor index (mean / b)

0.00000
Jensen alpha (a)

0.00000
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
VaR(95%)

0.00000
Expected Shortfall on VaR

0.00000
assuming Pareto losses only (using partial moments from Sortino statistics)
VaR(95%)

0.00000
Expected Shortfall on VaR

0.00000
ORDER STATISTICS
Quartiles of return rates
Number of observations

131.00000
Minimum

1.00000
Quartile 1

1.00000
Median

1.00000
Quartile 3

1.00000
Maximum

1.00000
Mean of quarter 1

1.00000
Mean of quarter 2

1.00000
Mean of quarter 3

1.00000
Mean of quarter 4

1.00000
Inter Quartile Range

0.00000
Number outliers low

0.00000
Percentage of outliers low

0.00000
Mean of outliers low

0.00000
Number of outliers high

0.00000
Percentage of outliers high

0.00000
Mean of outliers high

0.00000
Risk estimates for a one-period unit investment (based on Ex
Extreme Value Index (moments method)

0.00000
VaR(95%) (moments method)

0.00000
Expected Shortfall (moments method)

0.00000
Extreme Value Index (regression method)

0.00000
VaR(95%) (regression method)

0.00000
Expected Shortfall (regression method)

0.00000
DRAW DOWN STATISTICS
Quartiles of draw downs
Number of observations

0.00000
Minimum

0.00000
Quartile 1

0.00000
Median

0.00000
Quartile 3

0.00000
Maximum

0.00000
Mean of quarter 1

0.00000
Mean of quarter 2

0.00000
Mean of quarter 3

0.00000
Mean of quarter 4

0.00000
Inter Quartile Range

0.00000
Number outliers low

0.00000
Percentage of outliers low

0.00000
Mean of outliers low

0.00000
Number of outliers high

0.00000
Percentage of outliers high

0.00000
Mean of outliers high

0.00000
Risk estimates based on draw downs (based on Extreme Value T
Extreme Value Index (moments method)

0.00000
VaR(95%) (moments method)

0.00000
Expected Shortfall (moments method)

0.00000
Extreme Value Index (regression method)

0.00000
VaR(95%) (regression method)

0.00000
Last 4 Months - Pcnt Negative

n/a
Expected Shortfall (regression method)

0.00000
Strat Max DD how much worse than SP500 max DD during strat life?

-101082000
Max Equity Drawdown (num days)

36
COMBINED STATISTICS
Annualized return (arithmetic extrapolation)

0.00000
Compounded annual return (geometric extrapolation)

0.00000
Calmar ratio (compounded annual return / max draw down)

0.00000
Compounded annual return / average of 25% largest draw downs

0.00000
Compounded annual return / Expected Shortfall lognormal

0.00000

Strategy Description

Feel free to send me a message anytime with questions or feedback.

Summary Statistics

Strategy began

2005-06-12

Suggested Minimum Capital

$15,000

# Trades

190

# Profitable

% Profitable

48.9%

Net Dividends

($258)

Correlation S&P500

0.014

Sharpe Ratio

-0.06

Sortino Ratio

-0.10

Beta

0.00

Alpha

-0.00

Latest Activity

subscribed on started simulation

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
"Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Sleep Well
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Model Account Details

Trading Record

Recent Signals

Statistics

Strategy Description

Summary Statistics

Latest Activity

About the results you see on this Web site

Material assumptions and methods used when calculating results

Trading is risky

Not available

Strategy is now visible

Strategy is no longer visible

Suggested Minimum Capital

Create a free Collective2 Account

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Later

Video Saved for Later

Sleep Well (14714922)

Subscriptions not available

C2Star

Model Account Details

Trading Record

Recent Signals

Statistics

Strategy Description

Summary Statistics

Latest Activity

About the results you see on this Web site

Material assumptions and methods used when calculating results

Trading is risky

Not available

Strategy is now visible

Strategy is no longer visible

Suggested Minimum Capital

Sleep Well
(14714922)